Mean and variance optimization of non-linear systems and worst-case analysis

DOI10.1007/S10589-007-9136-7MaRDI QIDQ839487zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 2 September 2009

Published in Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10589-007-9136-7

zbMATH Keywords

expected valueworst-case analysispolicy design

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47)

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Cites work

• scientific article; zbMATH DE number 1987551 (Why is no real title available?)
• scientific article; zbMATH DE number 1834580 (Why is no real title available?)
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• Approximation to Optimization Problems: An Elementary Review
• Convergence of an interior point algorithm for continuous minimax
• Designing approximation schemes for stochastic optimization problems, in particular for stochastic programs with recourse
• Real Analysis and Probability
• Robust Permanent Income and Pricing
• Robust estimation and control under commitment
• Robust min-max portfolio strategies for rival forecast and risk scenarios
• Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?
• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• Stochastic and robust control of nonlinear economic systems

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(3)

• Stochastic optimization and worst-case decisions
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• Worst-case estimation for econometric models with unobservable components

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